Narrow search
Showing 1 - 10 of 4,315
Cover Image
Stabilizing rational speculation and price level targeting
Reither, Franco; Bennöhr, Lars - 2010
We analyze the contribution of speculation to exchange rate volatility using different assumptions regarding … speculation strategies and monetary policy rules. We take the DORNBUSCH (1976) model as the starting point and adopt a slight … modification of the money demand specification. With a money supply rule, rational speculation dampens the overshooting of the …
Persistent link: https://www.econbiz.de/10008661950
Cover Image
The pricing of FX forward contracts : micro evidence from banks' dollar hedging
Abbassi, Puriya; Bräuning, Falk - 2018 - This version: March 2018
We use transaction-level data on foreign exchange (FX) forward contracts for the period 2014 through 2016 in conjunction with supervisory balance sheet information to study the drivers of banks' dollar hedging costs. Comparing contracts of the same maturity that are initiated during the same...
Persistent link: https://www.econbiz.de/10011911789
Cover Image
The Effect of U.S. Stress Tests on Monetary Policy Spillovers to Emerging Markets
Liu, Emily - 2019
This paper shows that monetary policy and prudential policies interact. U.S. banks issue more commercial and industrial loans to emerging market borrowers when U.S. monetary policy eases. The effect is less pronounced for banks that are more constrained through the U.S. bank stress tests,...
Persistent link: https://www.econbiz.de/10012858696
Cover Image
Central bank information shocks and exchange rates
Franz, Thorsten - 2020 - This version: February 2020
The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...
Persistent link: https://www.econbiz.de/10012180641
Cover Image
Stabilizing rational speculation and price level targeting
Reither, Franco; Bennöhr, Lars - 2010
We analyze the contribution of speculation to exchange rate volatility using different assumptions regarding … speculation strategies and monetary policy rules. We take the DORNBUSCH (1976) model as the starting point and adopt a slight … modification of the money demand specification. With a money supply rule, rational speculation dampens the overshooting of the …
Persistent link: https://www.econbiz.de/10010289025
Cover Image
Winners and Losers from Sovereign Debt Inflows
Broner, Fernando - 2020
We study the transmission of sovereign debt inflow shocks on domestic firms. We exploit episodes of large sovereign debt inflows in six emerging countries which are due to the announcements of these countries' inclusion in two major local currency sovereign debt indexes. We show that these...
Persistent link: https://www.econbiz.de/10012845279
Cover Image
Stock market evidence on the international transmission channels of US monetary policy surprises
Maurer, Tim Dominik; Nitschka, Thomas - 2021
This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...
Persistent link: https://www.econbiz.de/10012520011
Cover Image
Macroprudential Policies in Response to External Financial Shocks
de Carvalho Filho, Irineu; Ng, DingXuan - 2023
This paper examines how countries use Macroprudential Policies (MaPs) to respond to external shocks such as US monetary policy surprises or fluctuations in capital flows. Constructing a model of a small open economy with financial frictions and a MaP authority that adjusts loan to value (LTV)...
Persistent link: https://www.econbiz.de/10014257930
Cover Image
The Effects of US Monetary Policy Shocks : Applying External Instrument Identification to a Dynamic Factor Model
Kerssenfischer, Mark - 2021
Dynamic factor models and external instrument identification are two recent advances in the empirical macroeconomic literature. This paper combines the two approaches in order to study the effects of monetary policy shocks. I use this novel framework to re-examine the effects found by Forni and...
Persistent link: https://www.econbiz.de/10013315462
Cover Image
Exchange rate expectations redux and monetary policy
Pierdzioch, Christian - 2002
This paper uses a dynamic general equilibrium optimizing two-country model to analyze how the formation of exchange rate expectations shapes the effects of monetary policy shocks in open economies. The model implies that the short-run output effects of permanent monetary policy shocks diminish...
Persistent link: https://www.econbiz.de/10011474909